Reprice-to-block order

ABSTRACT

A reprice-to-block order and related market center and process are disclosed which automatically reprice a posted limit order to the price of a block trade executed at an inferior price on a market away from the market center that posted the limit order.

CROSS-REFERENCE TO RELATED APPLICATIONS

This application is a divisional of U.S. patent application Ser. No.12/928,292, filed Dec. 8, 2010 now U.S. Pat. No. 8,301,542, which is adivisional of U.S. patent application Ser. No. 11/416,942, filed May 3,2006 (Issued as U.S. Pat. No. 7,877,316), entitled “REPRICE-TO-BLOCKORDER”, which claims priority from and claims the benefit of U.S.Provisional Application No. 60/678,108, filed May 5, 2005, entitled“Reprice-to-Block Order Modifier”, each of which is hereby incorporatedby reference.

BACKGROUND

A block trade is a single large trade in excess of a specific volumeand/or a specific market value. The definition of a block trade variesacross different financial products. For instance, on the equitiesmarket, a block trade has traditionally been defined as a trade of10,000 shares or more or a trade with a total market value of at least$200,000. In contrast, a block trade on the options market hastraditionally been defined as a trade of 500 contracts or more, with atotal market value of at least $150,000.

Many studies have been conducted on the impact of large block trades onprices in the marketplace, especially as relates to the equities market.Because block trades are perceived to indicate the trading strategies oflarge institutional investors, market participants often monitor blocktrades to determine if the market in a given issue is becomingincreasingly bearish or bullish. When the price of a block trade ishigher than the best offer in the market at the time, marketparticipants typically interpret this to mean the market direction ismoving upward for this issue. Similarly, when the price of a block tradeis lower than the best bid at the time, market participants typicallyinterpret this to mean the market direction is moving downward for thisissue. The execution of a block trade at a price outside the quotes isdeemed so important that some trading workstation systems are configuredto automatically trigger an actionable alert every time a block tradeexecuted outside the quotes is detected.

On some markets, block trades outside the quotes are allowed, but onlyunder certain conditions. If no such exception condition exists and ablock trade executes outside of the quotes, the offending market center“owes a fill” to the market center that had the better price at the timethe block trade was reported to the marketplace. The “satisfaction fill”is typically executed in the following manner. The market center whosequote was traded-through (“the aggrieved market center”) generally sendsan electronic message (or satisfaction order) to the market center thattraded-through the quotes (“the offending market center”) requestingsatisfaction for the orders that were traded-through. When the offendingmarket center fulfills the request for satisfaction by sending therequested number of shares (or contracts) at the block price to theaggrieved market center, the aggrieved market center then is able toadjust the trade price of the orders that were traded-through to beequal to the price of the shares (or contracts) that were part of theblock trade. In this manner, the aggrieved market participants receivethe price improvement they would have received had the block tradeinteracted with the public order book.

While this “satisfaction fill” process protects orders that were at thetop of the book when the block trade executed, it does not protectorders that were lower down in the book or that had a non-displayedcomponent, such as a reserve order. When a block trade executes at aprice worse than the best bid or offer, orders lower down in the book orones that have a non-displayed component become subject to potentialarbitrage. With respect to orders that were not at the top of the bookand were not protected, other market participants, seeing these orders,may attempt to promptly execute against these orders and then turnaround and trade such instruments on another market center to benefitfrom the spread created between the price the order was posted at andwhat may be perceived as the market's more ‘informed’ price, asindicated by the price of the executed block trade. Order types with anon-displayed component, such as reserve orders, are targets forpossible arbitrage whether they are at the top of the book or not. Onlythe displayed portion of a reserve order at the top of the book iseligible for satisfaction at the block trade price. Whenever thedisplayed portion is depleted by trading, it is replenished at itsoriginal price, which is superior to the block trade price. Other marketparticipants will typically attempt to execute against the reserve orderat its superior price until it moves away or is depleted.

Accordingly, there is a need for a posted limit order that will repriceitself less aggressively in view of a block trade executing in thatissue at a trade price that is inferior to the prices quoted on theposting market center.

SUMMARY

According to an aspect of the present invention, a method for repricinga posted limit order on a posting market center in view of a block tradeexecuted on an away market center at an inferior price includes postinga limit order on a posting market center, receiving data regarding ablock trade executed on an away market center, determining that theblock trade executed at an inferior price to the limit order posted onthe posting market center and automatically repricing the limit orderposted on the posting market center to the inferior price that the blocktrade executed at. The posted limit order may be a buy order or a sellorder. The posted limit order may also be a reserve order. The postingmarket center may operate in an equities marketplace, an optionsmarketplace or any other financial instrument marketplace.

DESCRIPTION OF THE DRAWINGS

These and other features, aspects and advantages of the presentinvention Will become better understood with regard to the followingdescription, appended claims and accompanying drawings where:

FIG. 1 is a block diagram illustrating the trading environment in whichan embodiment of the present invention operates;

FIG. 2 is a flow diagram illustrating a process implemented by anembodiment of the present invention for tagging an comingreprice-to-block buy order;

FIG. 3 is a flow diagram illustrating a process implemented by anembodiment of the present invention to detect and analyze last salemarket data;

FIG. 4 is a flow diagram illustrating a process implemented by anembodiment of the present invention to determine if a trade was a blocktrade;

FIG. 5 is a flow diagram illustrating a process implemented by anembodiment of the present invention to reprice a posted buy order to anexecuted block trade price;

FIG. 6 is a flow diagram illustrating a process implemented by anembodiment of the present invention for tagging an incomingreprice-to-block sell order; and

FIG. 7 is a flow diagram illustrating a process implemented by anembodiment of the present invention to reprice a posted sell order to anexecuted block trade price.

DETAILED DESCRIPTION

Referring to FIG. 1, a trading environment in which an embodiment of thesystem and method of the present invention operates is depicted. Theexamples discussed herein describe the use and application of thepresent invention in an equity security market center environment, butit should be understood that the present invention could be used in anytype of financial instrument market center environment (e.g.,securities, futures, options, bonds, etc.). The trading environment ofthis embodiment includes a posting market center 20 which interacts witha number of other market centers 24 (i.e. away markets), traders atorder sending firms 26, and Market Makers 31. It should be understoodthat the trading environment of this embodiment supports, but does notrequire Market Makers 31, a Market Maker Interface 32, or Market MakerQuotes 33. It should also be understood that the posting market center20 referred to herein refers to a computing system having sufficientprocessing and memory capabilities and does not refer to a specificphysical location. In fact, in certain embodiments, the computing systemmay be distributed over several physical locations. It should also beunderstood that any number of traders 26, Market Makers 31 or awaymarket centers 24 can interact with the posting market center 20. Theposting market center 20 is the market center on which a specific trader26 posts a specific order, and on which a specific Market Maker 31 postsa specific quote. The posting market center 20 includes an ordermatching engine 21, which validates, matches and processes all orders onthe posting market center 20. In this embodiment, the code for the ordermatching engine 21 is stored in the posting market center's memory.

The posting market center 20 may also include a quote and last saleinterface 23 that interacts with the away market centers 24 to capturequote and last sale information. This information is stored to a bestbids and offers and last sales data structure 25. This data structure 25is where the market best bid and offer information is stored. This datastructure 25 is also where the market trade reports (prints) are stored.The posting market center 20 may also include an order and tradeparameters data structure 27. The order and trade parameters datastructure 27 stores pre-defined trading parameters and rules that areused by the order matching engine 21 in matching orders and executingtrades. The posting market center 20 may also include an order andexecution interface 28 which interacts with the traders 26, the MarketMakers 31, the away market centers 24 and the order matching engine 21in the order execution process. The posting market center 20 may alsoinclude an order information data structure 29 where order informationis stored and a trade information data structure 30 where completedtrade information is stored. The posting market center 20 may alsoinclude a Market Maker interface 32 that interacts with Market Makers 31to capture Market Maker bids and offers in assigned issues. These bidsand offers are logically depicted in a Market Maker Quotes structure 33in this illustration. In actuality, the Market Maker bids and offers mayphysically reside in the away market center best bids and offers datastructure 25.

Throughout the discussion herein, it should be understood that thedetails regarding the operating environment, data structures, and othertechnological elements surrounding the posting market center 20 are byway of example and that the present invention may be implemented invarious differing forms. For example, the data structures referred toherein may be implemented using any appropriate structure, data storage,or retrieval methodology (e.g., local or remote data storage in databases, tables, internal arrays, etc.). Furthermore, a market center ofthe type described herein may support any type of suitable interface onany suitable computer system.

Incoming Reprice-to-Block Buy Order

FIG. 2 illustrates the process implemented where a trader 26 sends a buyorder to the posting market center 20 with instructions that the buyorder be repriced to match the price of any block trade executed at aninferior price (i.e. a reprice-to-block order). At step 100, a newreprice-to-block buy order is received by the order matching engine 21,and the order matching engine 21, recognizing the incoming orderprocessing request, initiates the process which tags the order as areprice-to-block order. In this embodiment, the process tags areprice-to-block buy order by setting the reprice-to-block field in theorder data structure to “Y”. In this embodiment, a reprice-to-block tagcan be attached to any limit order that is displayed in the order book.This tag is especially appropriate to orders having reserve shares (orcontracts). For such orders, the reprice-to-block tag applies to allshares (or contracts) in the order, both disclosed and in reserve.However, a reprice-to-block tag is not used with orders that areautomatically repriced by other market indicators, such as the best bidor best offer.

At step 102, the process checks to see if the buy order is marketableagainst the best offers in the marketplace. It should be understood thatreprice-to-block orders trade like any other limit order, and tradeagainst the marketplace accordingly. If the buy order is marketable, theprocess proceeds to step 104 where the order matching engine 21 tradesthe new buy order against sell orders posted in the posting marketcenter's order book and/or routes to superior away market quotesaccording to the market center's trading rules. Then, at step 106, theprocess checks to see if the buy order still has any quantity remainingon the order to be traded. If the buy order does not, then the order iscomplete, and the process ends with respect to this order, as indicatedat step 114. If the order is not complete and still has quantityremaining to be traded, the process proceeds to step 110. Referring backto step 102, if the incoming buy order is not marketable, the processproceeds to step 110 at this point as well.

At step 110, the process sets the “OriginalPrice” parameter equal to theprice set in the incoming reprice-to-block buy order. The“OriginalPrice” parameter retains the original order price for lateraudit purposes. Next, at step 112, the order is inserted into theposting market center's virtual consolidated electronic order and quotebook (“internal book”) and displayed on the public order book accordingto the price/time priority rules. The process terminates at step 114.

Direction of New Last Sale and Repricing of Posted Reprice-To-Block BuyOrder in Response to a Block Trade at an Inferior Price

With the tagged reprice-to-block order posted to the order book, theprocess, in this embodiment, continuously polls the last sale pricesfrom the market-wide “Tape.” The “Tape” refers to the facility thatdisseminates continuous trade information for a given symbol to theentire marketplace. For example, trades in exchange-listed securitiesare reported to the Consolidated Tape, trades in Nasdaq-listedsecurities are reported to the UTP Trade Data Feed and trades in optionsare reported to the Options Price Reporting Authority. In this document,the term “Tape” is not limited to these facilities, and may includeadditional facilities that disseminate last sale information for otherissues.

In this embodiment, the process instituted by the order matching engine21 reads all trades printed on the away markets for various reasons,including, most pertinent to this invention, the need to determine ifthe away market trade printed at a price outside the posting marketcenter best bid or offer, and if so, if the trade was a block trade. Inthis embodiment, if the process detects a block trade outside theposting market center's best bid or offer, the process checks theposting market center's order book to determine if any posted orders inthe traded symbol carry a reprice-to-block tag.

Specifically, referring to FIG. 3, the process at step 120 detects a newlast sale on the Tape. At step 122, the process determines whether thetrade executed on the posting market center 20. If it did, then theprocess ends, as indicated at step 126. If the trade did not execute onthe posting market center 20, the process proceeds to step 124 where itdetermines whether the trade was a regular-way trade. A regular-waytrade is a trade without any stated conditions attached.Reprice-to-block orders are not re-priced if the trade is not aregular-way trade because such block trades are typically not indicativeof current conditions in the marketplace. Examples of trades that arenot regular-way trades because they have conditions attached are tradesthat are reported late after other prints have occurred (e.g., soldsales), trades that occur outside of normal market hours (e.g., openingand closing trades, prior day trades, next day trades) or trades thathave special delivery or sale conditions attached. The preceding typesof trades do not cause reprice-to-block orders to be repriced.

If the process determines that the trade was not a regular-way trade,the process ends as indicated at 126. If the process determines that thetrade was a regular-way trade, the process proceeds to step 128 wherethe “PrintTradeVolume” parameter is set equal to the size of the trade.The process then proceeds to step 130 where it sets the“PrintTradePrice” parameter equal to the price of the trade.

Next, at steps 132, 134 and 142, the process retrieves the postingmarket center's best bid and offer price and compares these prices tothe stored “PrintTradePrice” value. At step 134, the process determineswhether the “PrintTradePrice” parameter value is lower than the postingmarket center's best bid. If it is determined that the “PrintTradePrice”parameter value is lower than the posting market center's best bid, theprocess proceeds to step 136 where it executes a routine to determine ifthe trade was a block trade. If, at step 134, the process determinesthat the “PrintTradePrice” parameter is not lower than the best bidposted on the posting market center 20, the process proceeds to step142. At step 142, the process determines whether the “PrintTradePrice”parameter value is higher than the posting market center's best offer.If it is determined that the “PrintTradePrice” parameter Value is higherthan the posting market center's best offer, the process proceeds tostep 146 where it executes a routine to determine if the trade was ablock trade, as it did at step 136. If, at step 142, the processdetermines that the “PrintTradePrice” parameter value is not higher thanthe posting market center's best offer, then the process ends asindicated at step 144.

At steps 138 and 148, after the block trade determination process, asexplained below, has been run and if the binary value of the “IsBlock”parameter equals “1” (true), meaning the trade was a block trade, thenthe process proceeds to implement processes for repricing either theapplicable buy order (step 140) or applicable sell order (step 150) inview of the executed block trade.

Referring to FIG. 4, the block trade determination process 160, referredto at steps 136 and 146 above, executes as follows in this embodiment.At step 162, the process retrieves the “MinBlockVolume” parameter whichis set to the minimum number of shares (or contracts) that the trademust include to be considered a block trade. At step 164, the processdetermines whether the “MinBlockVolume” parameter is greater than the“PrintTradeVolume” parameter value. In this embodiment, if the“MinBlockVolume” parameter is not greater than the “PrintTradeVolume”parameter, the trade has to be further analyzed to determine if it is ablock trade or not, according to applicable market rules. The process,then, at this point, proceeds to step 165, where the process determineswhether the trade must also meet a minimum value requirement, inaddition to meeting a minimum volume requirement, to be considered ablock trade, according to applicable market rules. For instance, theoptions market defines a block trade as a trade that meets a minimumvolume requirement and a minimum marketplace value requirement Referringback to step 164 again, if the process, on the other hand, determinesthat the “MinBlockVolume” parameter is greater than the“PrintTradeVolume” parameter, the trade does not meet the volumedefinition of a block trade. However, that does not mean it isdefinitely not a block trade because it still might satisfy the tradevalue criteria for a block trade, which is analyzed starting at step166. Specifically, the equities marketplace requires that for a trade tobe considered a block trade, it must meet either a minimum volumerequirement or a minimum marketplace value requirement. This is incontrast to the options marketplace explained above, which requires bothcriteria to be satisfied.

Referring again to step 165, if the process determines that the tradedoes not need to meet a minimum value requirement, in addition tomeeting a minimum volume requirement, to be considered a block trade (asin the equities market), then the trade is a block trade and theparameter “IsBlock” in this example is set to “I” or true, as indicatedat 174. If on the other hand, the trade must also meet a minimum marketvalue requirement, such as in the options market, the process proceedsto step 166.

At step 166, the process retrieves the “MinBlockValue” parameter whichis set to the minimum monetary value that the trade must execute at tobe considered a block trade. At step 168, the process computes the valueof the reported trade and stores it as the “TotalTradeValue” parameter.The “TotalTradeValue” parameter is equal to the volume of the printtrade (i.e. “PrintTradeVolume”) multiplied by the price of the printtrade (i.e. “PrintTradePrice”). The process then, at step 170,determines whether the “MinBlockValue” parameter is greater than the“TotalTradeValue” parameter. In this embodiment, if the “MinBlockValue”parameter is not greater than the “TotalTradeValue” parameter, the tradeis a block trade, and the parameter “IsBlock” is set to “1” or true, asindicated at 174. If the “MinBlockValue” parameter is greater than the“TotalTradeValue” parameter, then the print trade is not a block tradeand the “IsBlock” parameter is set to “0” or false, as indicated at 172.As indicated at steps 176 and 178, the value of the “IsBlock” parameteris passed to the process at steps 138 and 148 (FIG. 3).

Referring back to FIG. 3, at steps 138 and 148, the process determinesif the “IsBlock” parameter equals “1”. If the “IsBlock” does not equal“1”, the process ends as indicated at 144. If the “IsBlock” parameterdoes equal “1”, the routine for repricing either a posted buy order(step 140) or a posted sell order (step 150) is initiated.

Referring to FIG. 5, the process to reprice a posted buy order to theblock trade price is illustrated at step 200. At step 202, the processretrieves a buy order with a reprice-to-block buy order tag set to “Y”.At step 204, the process then determines whether the retrieved buy orderprice is higher than the “PrintTradePrice” parameter. If it is, theprocess reprices the buy order and sets the buy order price equal to the“PrintTradePrice” parameter value and then inserts the repriced buyorder into the posting market center's internal order book and thepublic order book according to its new price/time priority, as indicatedat steps 206 and 208. The process then proceeds to determine if thereare any further buy orders tagged to be repriced at step 210. At step210, if the process determines that there are further buy orders taggedto be repriced, the process returns to step 202 to repeat the posted buyorder repricing process over again. If there are no further buy orderstagged to be repriced, the process terminates as indicated at step 212.The process also proceeds to step 212 if the buy order retrieved andchecked at steps 202 and 204 does not have a price that is higher thanthe “PrintTradePrice” value.

Incoming Reprice-to-Block Sell Order

Referring to FIG. 6, the process for tagging and handling an incomingreprice-to-block sell order is very similar to the process describedabove for reprice-to-block buy orders. At step 300, a newreprice-to-block sell order is received by the order matching engine 21,and the order snatching engine 21, recognizing the incoming orderprocessing request, initiates the process which tags the order as areprice-to-block order. As with the reprice-to-block buy ordersdescribed above, the process tags a reprice-to-block sell order bysetting the reprice-to-block field in the order data structure to “Y”.At step 302, the process checks to see if the sell order is marketableagainst the best bids in the marketplace. If the sell order ismarketable, the process proceeds to step 304 where it trades the newsell order against buy orders posted in the posting market center'sorder book and/or routes to superior away market quotes according to themarket center's trading rules. Then, at step 306, the process checks tosee if the sell order still has any quantity remaining on the order tobe traded. If the sell order does not, then the order is complete, andthe process ends with respect to this order, as indicated at step 314.If the order is not complete and still has quantity remaining to betraded, the process proceeds to step 310. Referring back to step 302, ifthe incoming sell order is not marketable, the process proceeds to step310 at this point as well.

At step 310, the process sets the “OriginaiPrice” parameter equal to theprice set in the incoming reprice-to-block sell order. Next, at step312, the order is inserted into the posting market center's internalorder book and displayed on the public order book according to theprice/time priority rules. The process terminates at step 314.

Repricing a Reprice-To-Block Sell Order

Referring to FIG. 7, the process to reprice a posted sell order to theblock trade price is very similar to the process of repricing areprice-to-block buy order described above and is illustrated startingat step 400. At step 402, the process retrieves a sell order with areprice-to-block sell order tag set to “Y”. At step 404, the processthen determines whether the retrieved sell order price is lower than the“PrintTradePrice” parameter. If it is, the process reprices the sellorder and sets the sell order price equal to the “PrintTradePrice”parameter value and then inserts the repriced sell order into theposting market center's internal order book and the public order bookaccording to its new price/time priority, as indicated at steps 406 and408. The process then proceeds to determine if there are any furthersell orders tagged to be repriced at step 410. At step 410, if theprocess determines that there are further sell orders tagged to berepriced, the process returns to step 402 to repeat the posted sellorder repricing process over again. If there are no further sell orderstagged to be repriced, the process terminates as indicated at step 412.The process also proceeds to step 412 if the sell order retrieved andchecked at steps 402 and 404 does not have a price that is lower thanthe “PrintTradePrice” value.

Examples of how tagged reprice-to-block orders operate are providedbelow. It should be understood that the order and quote prices andsizes, as well as Print prices, discussed in these examples are by wayof example only to illustrate how the process of an embodiment of theinvention handles repricing a tagged order to an executed block tradeprice.

Example 1: Receipt of Reprice-to-Block Buy Orders

At the start of the examples that follow, the internal order book of aposting market center appears as indicated. The issue used in thisexample is an equity security. The best bid and offer from an awaymarket 24 a is also shown included in the internal book in theseexamples. The posting market center 20 in this example is at the bestbid with 11,000 at $20.02 and is also at the best offer with 5000 at$20.03. Away Market Center A is bidding 2000 at $20.00 and offering 1000at $20.03. The internal book looks like this:

Bids Offers Order A: 11,000 @ 20.02 Order C: 5000 @ 20.03 Order B:  3000 @ 20.01, Away Market 1000 @ 20.03 Reserve size = 2000 Center AAway Market   2000 @ 20.00 Order D: 1000 @ 20.05 Center A

The public posting market center book looks like this:

Bids Offers Posting Market 11,000 @ 20.02 Posting Market 5000 @ 20.03Center Center Posting Market   3000 @ 20.01 Posting Market 1000 @ 20.05Center Center

At step 100, the process receives the following incomingreprice-to-block buy order:

-   -   Order E: Buy 5000 @ 20.02, Show size=400, Reserve size=4600,        RTB=Yes

At step 102, the process determines that Order E is not marketable, asthere is no overlap between the buy order price and the best offerprice. At step 110, it stores the order price as the OriginalPrice foraudit purposes, and at step 112, it posts the reprice-to-block order tothe internal book and public posting market center book according tonormal price/time priority rules. The process terminates at step 114.

The internal book looks like this:

Bids Offers Order A: 11,000 @ 20.02 Order C: 5000 @ 20.03 Order E:   400@ 20.02, ← Away 1000 @ 20.03 Reserve size = 4600, Market OriginalPrice =20.02, Center A RTB = Y Order B:   3000 @ 20.01, Order D: 1000 @ 20.05Reserve size = 2000 Away Market   2000 @ 20.00 Center A

The public posting market center book looks like this:

Bids Offers Posting Market 11,400 @ 20.02 Posting Market 5000 @ 20.03Center Center Posting Market   3000 @ 20.01 Posting Market 1000 @ 20.05Center Center

In this example, the posting market center 20 receives the followingreprice-to-block buy order at step 100:

-   -   Order F: Buy 2000 @ 20.01, Show size=900, Reserve size=1100,        RTB=Yes

At step 102, the process determines that Order F is not marketable, asthere is no overlap between the buy order price and the best offerprice. At step 110, it stores the order price as the OriginalPrice foraudit purposes, and in step 112 it posts the reprice-to-block order tothe internal book and the public posting market center order bookaccording to normal price/time priority rules. The process terminates atstep 114.

The internal book looks like this:

Bids Offers Order A: 11,000 @ 20.02 Order C: 5000 @ 20.03 Order E:   400@ 20.02, Away 1000 @ 20.03 Reserve size = 4600, Market OriginalPrice =20.02, Center A RTB = Y Order B:   3000 @ 20.01, Order D: 1000 @ 20.05Reserve size = 2000 Order F:   900 @ 20.01, ← Reserve size = 1100,OriginalPrice = 20.01, RTB = Y Away Market   2000 @ 20.00 Center A

The public posting market center order book looks like this:

Bids Offers Posting Market 11,400 @ 20.02 Posting Market 5000 @ 20.03Center Center Posting Market   3900 @ 20.01 ← Posting Market 1000 @20.05 Center Center

Example 2: Block Trade on the Tape is not at an Inferior Price

At step 120, the process detects the following Print (Last Sale) on theTape:

-   -   10,000 shares @ 20.02 traded on Away Market A

At step 122, the process determines that this trade did not execute onthe posting market center 20 (i.e. it is an away market execution), andat step 124, the process determines that this is a regular-way trade. Assuch, at step 128, the process sets the “PrintTradeVolume” parameterequal to 10,000, the size of the trade. At step 130, the process setsthe “PrintTradePrice” parameter equal to $20.02, the price of the trade.

Then, at step 132, the process retrieves the posting market center'sbest bid and offer and at step 134, the process compares thePrintTradePrice parameter ($20.02) to the posting market center best bid($20.02). As the PrintTradePrice parameter is not lower than the postingmarket center best bid, the process does not need to check for thepresence of any reprice-to-block buy orders. The process continues tostep 142 accordingly.

At step 142, the process compares the PrintTradePrice parameter ($20.02)to the posting market center's best offer ($20.03). As thePrintTradePrice parameter is not higher than the posting market center'sbest offer, the process does not need to check for the presence of anyreprice-to-block sell orders. For this last sale price, the process iscomplete, as indicated at step 144.

Example 3: Trade on the Tape is an Inferior Price, but is not a BlockTrade

The internal book still looks like this:

Bids Offers Order A: 11,000 @ 20.02 Order C: 5000 @ 20.03 Order E:   400@ 20.02, Away 1000 @ 20.03 Reserve size = 4600, Market OriginalPrice =20.02, Center A RTB = Y Order B:   3000 @ 20.01, Order D: 1000 @ 20.05Reserve size = 2000 Order F:   900 @ 20.01, Reserve size = 1100,OriginalPrice = 20.01, RTB = Y Away Market   2000 @ 20.00 Center A

At step 120, the process detects the following Print on the Tape:

-   -   9,500 shares @ 20.01 traded on Away Market A

At step 122, the process determines that this trade did not execute onthe posting market center, and at step 124, the process determines thatthis is a regular-way trade. At step 128, the process sets thePrintTradeVolume parameter equal to 9,500, the size of the trade. Atstep 130, the process sets the PrintTradePrice parameter equal to$20.01, the price of the trade.

At step 132, the process retrieves the posting market center's best bidand offer, and at step 134, the process compares the PrintTradePriceparameter ($20.01) to the posting market center's best bid ($20.02). Asthe PrintTradePrice parameter is lower than the posting market centerbest bid, the process continues to step 136 and initiates the process todetermine if the Last Sale constitutes a block trade at step 160 (FIG.4).

At step 162, the process retrieves the MinBlockVolume parameter, which,in this example, is presently set to 10,000 shares. At step 164, theprocess compares the PrintTradeVolume parameter (9,500) to theMinBlockVolume parameter (10,000). As the PrintTradeVolume is less thanthe MinBlockVolume, the process continues to step 166. At step 166, theprocess retrieves the MinBlockValue parameter, which is presently set to$200,000.

At step 168, the process computes the TotalTradeValue parameter bymultiplying the PrintTradeVolume parameter (9,500) by thePrintTradePrice parameter ($20,01). The derivedTotalTradeValue=$190,095. At step 170, the process compares theTotalTradeValue ($190,095) to the MinBlockValue ($200,000). As theTotalTradeValue is less than the MinBlockValue, the process determinesthat this trade does not constitute a block trade. At step 172, the flag“IsBlock” is set to “0” (false).

At step 176, the process passes the binary value back to step 138 in theprocess New Last Sale Detected (FIG. 3). As the value of IsBlock=0, noreprice-to-block orders are repriced, and the process ends at step 144with respect to this last sale.

Example 4: Trade on the Tape is not an Away Market Execution

The internal book still looks like this:

Bids Offers Order A: 11,000 @ 20.02 Order C: 5000 @ 20.03 Order E:   400@ 20.02, Away 1000 @ 20.03 Reserve size = 4600, Market OriginalPrice =20.02, Center A RTB = Y Order B:   3000 @ 20.01, Order D: 1000 @ 20.05Reserve size = 2000 Order F:   900 @ 20.01, Reserve size = 1100,OriginalPrice = 20.01, RTB = Y Away Market Center A   2000 @ 20.00

The process receives the following limit order:

-   -   Order G: Sell 10,000 @ 20.02

The process matches incoming Order G with 10,000 shares of posted OrderA according to normal trading rules, depleting all of Order G andleaving 1,000 shares of Order A posted to the book.

The internal book looks like this:

Bids Offers Order A: 1000 @ 20.02 ← Order C: 5000 @ 20.03 Order E:  400@ 20.02, Away 1000 @ 20.03 Reserve size = 4600, Market OriginalPrice =20.02, Center A RTB = Y Order B: 3000 @ 20.01, Order D: 1000 @ 20.05Reserve size = 2000 Order F:  900 @ 20.01, Reserve size = 1100,OriginalPrice = 20.01, RTB = Y Away Market 2000 @ 20.00 Center A

The public posting market center order book looks like:

Bids Offers Posting Market 1400 @ 20.02 ← Posting Market 5000 @ 20.03Center Center Posting Market 3900 @ 20.01 Posting Market 1000 @ 20.05Center Center

A few seconds later, at step 120, the process detects the resultingPrint on the Tape:

-   -   10,000 shares @ 20.02 traded on the Posting Market Center

At step 122, the process determines that this trade executed on theposting market center 20, so it ends the process at step 126. Only awaymarket trades can reprice reprice-to-block orders.

Example 5: Trade on the Tape is an Inferior Priced Block Trade,Reprice-to-Block Buy Orders are Repriced

In this example, the internal book still appear as follows:

Bids Offers Order A: 1000 @ 20.02 Order C: 5000 @ 20.03 Order E:  400 @20.02, Away 1000 @ 20.03 Reserve size = 4600, Market OriginalPrice =20.02, Center A RTB = Y Order B: 3000 @ 20.01, Order D: 1000 @ 20.05Reserve size = 2000 Order F:  900 @ 20.01, Reserve size = 1100,OriginalPrice = 20.01, RTB = Y Away Market Center A 2000 @ 20.00

At step 120, the process detects the following Print on the Tape:

-   -   10,000 shares @ 20.00 traded on Away Market Center A

At step 122, the process determines that this trade did not execute onthe posting market center 20, and at step 124, the process determinesthat this is a regular-way trade. At step 128, the process sets thePrintTradeVolume parameter equal to 10,000, the size of the trade. Atstep 130, the process sets the PrintTradePrice parameter equal to$20.00, the price of the trade.

At step 132, the process retrieves the posting market center's best bidand offer, and in step 134, the process compares the PrintTradePriceparameter ($20.00) to the posting marker center best bid ($20.02). Asthe PrintTradePrice parameter is lower than the posting market centerbest bid, the process continues to step 136 and initiates the process todetermine if the Last Sale constitutes a block trade, at step 160 (FIG.4).

At step 162, the process retrieves the MinBlockVolume parameter, which,in this example, is set to 10,000 shares. At step 164, the processcompares the PrintTradeVolume parameter (10,000) to the MinBlockVolumeparameter (10,000). As the PrintTradeVolume is the same as theMinBlockVolume, the process proceeds to step 165 where it determines ifthe trade must also meet minimum marketplace value requirements. As thisexample uses an equity security issue as its basis and block trades arenot required to meet minimum value requirements in addition to minimumvolume requirements, the process proceeds from step 165 to step 174.

At step 174, the process sets the flag “IsBlock” equal to “1” (true). Atstep 176, the process passes the binary value back to step 138 in theprocess New Last Sale Detected (FIG. 3). As the value of IsBlock=1, theprocess proceeds to step 140 to determine whether any reprice-to-blockbuy orders must be repriced. Step 140 invokes the process toreprice-to-block buy orders at step 200 (FIG. 5).

At step 202, the process retrieves the first reprice-to-block buy order,Order E. At step 204, it compares the price of Order E ($20.02) to thePrintTradePrice ($20.00). As the buy order's price is higher, at step206, the process changes Order E's price to $20.00, the price of thePrintTradePrice. At step 208, the process inserts the repriced order inthe internal book according to its new price/time priority.

The internal book momentarily appears as follows after Order E has beenrepriced:

Bids Offers Order A: 1000 @ 20.02 Order C: 5000 @ 20.03 Order B: 3000 @20.01, Away 1000 @ 20.03 Reserve size = 2000 Market Center A Order F: 900 @ 20.01, Order D: 1000 @ 20.05 Reserve size = 1100, OriginalPrice =20.01, RTB = Y Order E:  400 @ 20.00, ← Reserve size = 4600,OriginalPrice = 20.02, RTB = Y Away Market Center A 2000 @ 20.00

At step 210, the process checks to see if there are any more buy orderswith RTB=Y and determines that there are. The process returns to step202 and retrieves the next reprice-to-block order, Order F. At step 204,the process compares the price of Order F ($20.01) to thePrintTradePrice ($20.00). As the buy order's price is higher, theprocess changes Order F's price to $20.00, the value of thePrintTradePrice, at step 206. At step 208, the process inserts therepriced order in the internal order book according to its newprice/time priority. At step 210, the process again checks to see if anymore buy orders with RTB=Y exist, and finding none in this example, endsthe update process at step 212.

The internal book looks like this:

Bids Offers Order A: 1000 @ 20.02 Order C: 5000 @ 20.03 Order B: 3000 @20.01 Away 1000 @ 20.03 Reserve size = 2000 Market Center A Order E: 400 @ 20.00, Order D: 1000 @ 20.05 Reserve size = 4600, OriginalPrice =20.02, RTB = Y Order F:  900 @ 20.00, ← Reserve size = 1100,OriginalPrice = 20.01, RTB = Y Away Market Center A 2000 @ 20.00

The public posting market center book now looks like this:

Bids Offers Posting Market Center 1000 @ 20.02 ← Posting 5000 @ 20.03Market Center Posting Market Center 3000 @ 20.01 ← Posting 1000 @ 20.05Market Center Posting Market Center 1300 @ 20.00 ←

Example 6: Incoming Sell Order Trades with Posted Buy Orders, whereReprice-to-Block Orders have Already Moved their Price

At around the same time the above process is happening, a marketparticipant has also detected the block trade that executed priced at$20.00, and this market participant also detected the superior-pricedbids that were displayed on the posting market center prior to beingrepriced. As a reminder, at the time the block trade at $20.00 wasreported to the Tape, the public book for the posting market centerlooked like this:

Bids Offers Posting Market Center 1400 @ 20.02 Posting 5000 @ 20.03Market Center Posting Market Center 3900 @ 20.01 Posting 1000 @ 20.05Market Center

The market participant that detected the block trade at $20.00 sees thatthe posting market center is displaying 5300 orders superior to theblock trade at $20.00 (i.e. 1400 at $20.02 and 3900 at $20.01). Themarket participant attempts to trade against the superior priced ordersimmediately.

The posting market center 20 receives the following order:

-   -   Order H: Sell 6000 @20.01, IOC

The process retrieves the highest buy order, Order A. It compares theprice of Order A ($20.02) to the price of incoming Order H ($20,01). Asthe prices overlap, the process matches 1000 shares at $20.02, Order A'sprice, completely filling Order A and removing it from the books. Theprocess checks to see if incoming Order H still has additional shares totrade, and determines that it has 5000 shares remaining.

The process retrieves the next buy order, Order B. It compares the priceof Order B ($20.01) to the price of incoming Order H ($20.01): As theprices are equal, the process matches 5000 shares at $20.01, completelyfilling Order B and removing it from the books. The process firstmatches the 3000 displayed shares of Order B and then matches the 2000reserve shares of Order B. The process checks to see if incoming Order Hstill has additional shares to trade, and determining that none remain,the process is terminated.

The internal book looks like this:

Bids Offers Order E:  400 @ 20.00, Order C: 5000 @ 20.03 Reserve size =4600, OriginalPrice = 20.02, RTB = Y Order F:  900 @ 20.00, Away 1000 @20.03 Reserve size = 1100, Market OriginalPrice = 20.01, Center A RTB =Y Away Market Center A 2000 @ 20.00 Order D: 1000 @ 20.05

The public posting market center book now looks like this:

Bids Offers Posting 1300 @ 20.00 ← Posting Market Center 5000 @ 20.03Market Center Posting Market Center 1000 @ 20.05

As illustrated in this example, Orders A and B left themselves open toarbitrage since they were not reprice-to-block orders. After the blocktrade, Orders A and B remained at their original prices. As a result,these orders, Orders A and B, were hit by an incoming order takingadvantage of this arbitrage opportunity.

In contrast, Orders E and F, which were tagged to reprice, promptlyrepriced to the block trade price when the block trade at the inferiorprice was detected. As a result, the automatic repricing of these orderspresented then from being hit at their original, superior order price.Once repriced, a reprice-to-block order, such as Orders E and F in thisexample, do not revert to their original price. However, Orders E and Fcould be repriced lower. For instance, should another block tradesubsequently trade at a price that is lower than their current price($20.00), Orders E and F would be automatically repriced again, andtheir previous price would be stored for audit purposes as well. Thisprocess is repeated as necessary until Orders E and F are fully executedor canceled.

Away Market Center A then changes its offer price to $20.01. Theinternal book looks like this:

Bids Offers Order E:  400 @ 20.00, Away 1000 @ 20.01 ← Reserve size =4600, Market OriginalPrice = 20.02, Center A RTB = Y Order F:  900 @20.00, Order C: 5000 @ 20.03 Reserve size = 1100, OriginalPrice = 20.01,RTB = Y Away Market Center A 2000 @ 20.00 Order D: 1000 @ 20.05

Market Center A's Offer of $20.01 is now the best offer. As shown in theexamples that follow, reprice-to-block orders are repriced whenever aworse-priced block trade is detected, regardless of whether the postingmarket center 20 is at the NBBO or not.

Example 7: Reprice-To-Block Sell Order is Received

At step 300, the process receives the following incomingreprice-to-block sell order:

-   -   Order I: Sell 3000 @ 20.02, Show size=300, Reserve size=2700,        RTB=Yes

At step 302, the process determines that Order I is not marketable, asthere is no overlap between the sell order price and the best bid price.(Note that even though the OriginalPrice of Order E is 820.02, the ordercan only trade at its current price of $20.00.) At step 310, the processstores the order price as the OriginalPrice for audit purposes, and atstep 312, it posts the reprice-to-block order to the internal book andthe public posting market center order book according to normalprice/time priority rules. The process terminates at step 314.

The internal book looks like this:

Bids Offers Order E:  400 @ 20.00, Away Market 1000 @ 20.01 ReserveCenter A size = 4600, OriginalPrice = 20.02, RTB = Y Order F:  900 @20.00, Order I:  300 @ 20.02, ← Reserve Reserve size = 1100, size =2700, OriginalPrice = OriginalPrice = 20.01, 20.02, RTB = Y RTB = Y AwayMarket 2000 @ 20.00 Order C: 5000 @ 20.03 Center A Order D: 1000 @ 20.05

The public posting market center order book now looks like this:

Bids Offers Posting 1300 @ 20.00 Posting Market Center  300 @ 20.02 ←Market Center Posting Market Center 5000 @ 20.03 Posting Market Center1000 @ 20.05

Example Block Trade on the Tape is not at an Inferior Price

At step 120, the process detects the following Print on the Tape:

-   -   10,000 shares @ 20.02 traded on Away Market Center A

At step 122, the process determines that this trade did not execute onthe posting market center 20, and at step 124, it determines that thisis a regular-way trade. At step 128, the process sets thePrintTradeVolume parameter equal to 10,000, the size of the trade. Atstep 130, it sets the PrintTradePrice parameter equal to $20.02, theprice of the trade.

At step 132, the process retrieves the posting market center best bidand offer and in step 134, it compares the PrintTradePrice ($20.02) tothe posting market center best bid ($20.00). As the PrintTradePriceparameter is not lower than the posting market center best bid, theprocess does not need to check for the presence of any reprice-to-blockbuy orders, so the process continues to step 142.

At step 142, the process compares the PrintTradePrice parameter ($20.02)to the posting market center best offer ($20.02). As the PrintTradePriceparameter is not higher than the posting market center best offer (theprices are equal), the process does not need to check for the presenceof any reprice-to-block sell orders. The process, in this example, iscomplete as indicated at step 144.

Example 9: Trade on Tape is an Inferior Price, but is not a Block Trade

In step 120, the process detects the following Print on the Tape:

-   -   9,500 shares @ 20.03 traded on Away Market Center A

At step 122, the process determines that this trade did not execute onthe posting market center 20, and in step 124, it determines that thisis a regular-way trade. At step 128, the process sets thePrintTradeVolume parameter equal to 9,500, the size of the trade. Atstep 130, it sets the PrintTradePrice parameter equal to $20.03, theprice of the trade.

At step 132, the process retrieves the posting market center's best bidand offer and in step 134, the process compares the PrintTradePriceparameter ($20.03) to the posting market center's best bid ($20.00). Asthe PrintTradePrice parameter is not lower than the posting marketcenter's best bid, the process does not need to reprice anyreprice-to-block buy orders, so the process continues to step 142. Atstep 142, the process compares the PrintTradePrice parameter ($20.03) tothe posting market center's best offer price ($20.02) and determinesthat the PrintTradePrice parameter is higher. The process proceeds tostep 146 and initiates the process to determine if the Last Saleconstitutes a block trade at step 160 (FIG. 4).

At step 162, the process retrieves the MinBlockVolume parameter, whichis currently set to 10,000 shares. At step 164, the process compares thePrintTradeVolume parameter (9,500) to the MinBlockVolume parameter(10,000). As the PrintTradeVolume parameter is less than theMinBlockVolume parameter, it proceeds to step 166.

At step 166, the process retrieves the MinBlockValue parameter, which iscurrently set to $200,000. At step 168, the process computes theTotalTradeValue parameter by multiplying the PrintTradeVolume (9,500) bythe PrintTradePrice ($20.03). The derived TotalTradeValue=$190,285. Atstep 170, the process compares the TotalTradeValue ($190,285) to theMinBlockValue ($200,000). As the TotalTradeValue is less than theMinBlockValue, it determines that this trade does not constitute a blocktrade. At step 172, it sets the flag “IsBlock”=0 (false).

At step 176, the process passes the binary value back to step 148 in theprocess New Last Sale Detected (FIG. 3). As the value of “IsBlock”=0, noreprice-to-block sell orders are repriced, so the process ends at step144.

Example 10: Trade on the Tape is an Inferior Priced Block Trade,Reprice-to-Block Sell Orders are Repriced

The internal book still looks like this:

Bids Offers Order E:  400 @ 20.00, Away 1000 @ 20.01 Reserve size =4600, Market OriginalPrice = 20.02, Center A RTB = Y Order F:  900 @20.00, Order I:  300 @ 20.02, Reserve size = 1100, Reserve OriginalPrice= 20.01, size = 2700, RTB = Y OriginalPrice = 20.02, RTB = Y Away Market2000 @ 20.00 Order C: 5000 @ 20.03 Center A Order D: 1000 @ 20.05

At step 120, the process detects the following Print on the Tape:

-   -   10,000 shares @ 20.03 traded on Away Market Center A

At step 122, the process determines that this trade did not execute onthe posting market center 20, and at step 124, the process determinesthat this is a regular-way trade. At step 128, the process sets thePrintTradeVolume parameter=10,000, the size of the trade. At step 130,it sets the PrintTradePrice parameter=$20.03, the price of the trade.

At step 132, the process retrieves the posting market center best bidand offer, and at step 134, it compares the PrintTradePrice ($20.03) tothe posting market center's best bid ($20.00). As the PrintTradePrice isnot lower than the posting market center's best bid, the process doesnot need to reprice any reprice-to-block buy orders, so the processcontinues to step 142. At step 142, the process compares thePrintTradePrice ($20.03) to the posting market center's best offer price($20.02) and determines that the PrintTradePrice is higher. The processproceeds to step 146 and initiates the process to determine if the LastSale constitutes a block trade at step 160 (FIG. 4).

At step 162, the process retrieves the MinBlockVolume parameter, whichis currently set to 10,000 shares. At step 164, the process compares thePrintTradeVolume (10,000) to the MinBlockVolume (10,000). As thePrintTradeVolume is the same as the MinBlockVolume, it proceeds to step165, where it checks if the trade must also meet minimum market valuerequirements. In this example, since this issue is an equity security,the volume and value requirements do not both need to be satisfied, andthe process proceeds to step 174.

At step 174, the process sets the flag IsBlock=1 (true). At step 176,the process passes the binary value back to step 148 in the process NewLast Sale Detected (FIG. 3). As the value of “IsBlock”=1, the processproceeds to step 150 to determine whether any reprice-to-block sellorders must be repriced. Step 150 invokes the process toreprice-to-block sell orders, at step 400 (FIG. 7).

At step 402, the process retrieves the first reprice-to-block sellorder, Order I. At step 404, the process compares the price of Order I($20.02) to the PrintTradePrice ($20.03). As the sell order's price islower, at step 406, the process changes Order I's price to $20.03, theprice of the PrintTradePrice. At step 408, the process inserts therepriced order in the internal book according to its new price/timepriority. At step 410, the process checks to see if other sell orderswith RTB=Y exist, and finding none, ends the update process at step 412.

The internal book looks like this:

Bids Offers Order E:  400 @ 20.00, Away Market 1000 @ 20.01 ReserveCenter A size = 4600, OriginalPrice = 20.02, RTB = Y Order F:  900 @20.00, Order C: 5000 @ 20.03 Reserve size = 1100, OriginalPrice = 20.01,RTB = Y Away Market 2000 @ 20.00 Order I:  300 @ 20.03, ← Center AReserve size = 2700, OriginalPrice = 20.02, RTB = Y Order D: 1000 @20.05

The public posting market center order book now looks like this:

Bids Offers Posting 1300 @ 20.00 Posting Market Center 5300 @ 20.03 ←Market Center Posting Market Center 1000 @ 20.05

As with Orders E and F in the buy order example above, once repriced,Order I is never reset to its original price. However, Order I could berepriced higher. For instance, should another block trade subsequentlytrade at a price that is higher than Order I's current price ($20.03),Order I would be automatically repriced again, and its previous pricewould be stored for audit purposes as well. This process is repeated asnecessary until Order I is fully executed or canceled.

Example 11: Trade on the Tape is an Inferior Priced Block Trade,Reprice-to-Block Options Sell Order is Repriced

This example, Example 11, is an equity options example and is similar toExample 10 above except that orders and quotes in an equity optionsissue are shown rather than the orders and quotes in an equity securityissue that were shown in Example 10. The particular issue discussed inthis example does not have Market Makers assigned to it and, therefore,Market Maker quotes are not discussed in this example. Even if MarketMaker quotes were present, they would not be relevant to thisdiscussion, as only orders, not quotes, can be repriced-to-block. Aspreviously described, the definition of a block trade is different on anoptions market than on an equities market.

At the start of this example, the internal book looks like this. Notethat Order L and Order M have already been previously repriced-to-block,as evidenced by their higher OriginalPrices:

Bids Offers Order L:  40 @ 2.00, Away Market 100 @ 2.05 Reserve size =460, Center A OriginalPrice = 2.10, RTB = Y Order M:  90 @ 2.00, OrderN:  30 @ 2.10, Reserve size = 110, Reserve size = 270, OriginalPrice =2.05, OriginalPrice = RTB = Y 2.10, RTB = Y Away Market 200 @ 2.00 OrderJ:  50 @ 2.15 Center A

At step 120, the process detects the following Print on the Tape:

-   -   70,000 contracts @ 2.15 traded on Away Market Center A

At step 122, the process determines that this trade did not execute onthe posting market center 20, and at step 124, the process determinesthat this is a regal way trade. At step 128, the process sets thePrintTradeVolume parameter=70,000, the size of the trade. At step 130,it sets the PrintTradePrice parameter=$2.15, the price of the trade.

At step 132, the process retrieves the posting market center best bidand offer, and at step 134, it compares the PrintTradePrice ($2.15) tothe posting market center's best bid ($2.00). As the PrintTradePrice isnot lower than the posting market center's best bid, the process doesnot need to reprice any reprice-to-block buy orders, so the processcontinues to step 142. At step 142, the process compares thePrintTradePrice ($2,15) to the posting market center's best offer price($2.10) and determines that the PrintTradePrice is higher. The processproceeds to step 146 and initiates the process to determine if the LastSale constitutes a block trade at step 160 (FIG. 4).

At step 162, the process retrieves the MinBlockVolume parameter, whichis currently set to 500 contracts. At step 164, the process compares thePrintTradeVolume (70,000) to the MinBlockVolume (500). As thePrintTradeVolume is higher than the MinBlockVolume, it proceeds to step165.

At step 165, the process checks whether this trade must also meetminimum market value requirements to constitute a block trade. In thisexample, since the issue is an equity option, the volume and valuerequirements both need to be satisfied, and the process proceeds to step166. At step 166, the process retrieves the MinBlockValue parameter,which in this example is set to $150,000. At step 168, the processcomputes the TotalTradeValue parameter by multiplying thePrintTradeVolume parameter (70,000) by the PrintTradePrice ($2.15). Thecomputed TotalTradeValue=$150,500. At step 170, the process compares theTotalTradeValue ($150,500) to the MinBlockValue ($150,000). As theTotalTradeValue is higher than the MinBlockValue, it determines thatthis trade does constitute a block trade.

At step 174, the process sets the flag IsBlock=1 (true). At step 176,the process passes the binary value back to step 148 in the process NewLast Sale Detected (FIG. 3). As the value of “IsBlock”=1, the processproceeds to step 150 to determine whether any reprice-to-block sellorders must be repriced. Step 150 invokes the process toreprice-to-block sell orders, at step 400 (FIG. 7).

At step 402, the process retrieves the first reprice-to-block sellorder, Order N. At step 404, the process compares the price of Order N($2.10) to the PrintTradePrice ($2.15). As the sell order's price islower, at step 406, the process changes Order N's price to $2.15, theprice of the PrintTradePrice. At step 408, the process inserts therepriced order in the internal book according to its new price/timepriority. At step 410, the process checks to see if other sell orderswith RTB=Y exist, and finding none, ends the update process at step 412.

The internal book looks like this:

Bids Offers Order L:  40 @ 2.00, Away Market 100 @ 2.05 Reserve size =460, Center A OriginalPrice = 2.10, RTB = Y Order M:  90 @ 2.00, OrderJ:  50 @ 2.15 Reserve size = 110, OriginalPrice = 2.05, RTB = Y AwayMarket Center A 200 @ 2.00 Order N:  30 @ 2.15, ← Reserve size = 270,OriginalPrice = 2.10, RTB = Y

The public posting market center order book crow looks like this:

Bids Offers Posting Market 130 @ 2.00 Posting Market Center 80 @ 2.15 ←Center

Order N, as with other repriced-to-block orders above, never resets toits original price after it has been repriced. However, Order N could berepriced higher if necessary. For instance, should another block tradesubsequently trade at a price that is higher than Order N's currentprice ($2.15), Order N would be automatically repriced again, and itsprevious price would be stored for audit purposes as well. This processis repeated as necessary until Order N is fully executed or canceled.

While the invention has been discussed in terms of certain embodiments,it should be appreciated that the invention is not so limited. Theembodiments are explained herein by way of example, and there arenumerous modifications, variations and other embodiments that may beemployed that would still be within the scope of the present invention.

What is claimed is:
 1. A posting market center, comprising: a computersystem comprising one or more servers communicatively coupled; aninterface embodied in the computing system receiving orders, includingreprice-to-block orders that are to be automatically repriced based onblock trades executed at inferior prices, and continuouslyelectronically polling market-wide tape over the Internet for a new lastsale executed on an away market, the market-wide tape comprising atleast one facility configured to electronically and continuously makeavailable real-time trade information for one or more securities overthe Internet; a posting market center memory storing code, said code,when executed, defining an internal order book and a public order book,and analyzing and processing reprice-to-block orders; a processorexecuting the stored code for analyzing and processing thereprice-to-block orders when the interface receives saidreprice-to-block orders, wherein the code, upon execution by saidprocessor, further causes said posting market center to: (a) post one ormore of the received reprice-to-block orders on the internal order bookand the public order book; (b) continuously electronically poll, via theinterface, the market-wide tape over the Internet to obtain thereal-time trade information; (c) identify, from among the real-timetrade information, the new last sale executed on the away market; and(d) automatically activate, via the interface, a block trade decisionapplication when the new last sale posted on the tape is identified, theblock trade decision application including one or more routines andexecuted by the one or more servers of the computer system, wherein theblock trade decision application, when executed, automatically repricesat least one of the one or more reprice-to-block orders in response todetection of an inferior price at the away market based on assessment ofsaid identified new last sale, the one or more routines of the blocktrade decision application configured to: determine, by said executingof the block trade decision application, that the new last sale is ablock trade; determine that the block trade was executed at a price thatis inferior to a price of the one or more reprice-to-block orders thatwere posted to the internal order book and the public order book at step(a); and reprice the at least one of the one or more reprice-to-blockorders to the price of the block trade that was executed at the inferiorprice, wherein the at least one repriced reprice-to-block order isposted in a position other than a top position on at least one of saidorder books, comprises one or more non-displayed components, or acombination thereof.
 2. The posting market center of claim 1, whereinthe at least one of the one or more reprice-to-block orders is a buyorder.
 3. The posting market center of claim 1, wherein the at least oneof the one or more reprice-to-block orders is a sell order.
 4. Theposting market center of claim 1, wherein the at least one of the one ormore reprice-to-block orders is a reserve order.
 5. The posting marketcenter of claim 1, wherein the posting market center operates in anequities marketplace.